EconBiz - Find Economic Literature
    • Logout
    • Change account settings
  • A-Z
  • Beta
  • About EconBiz
  • News
  • Thesaurus (STW)
  • Academic Skills
  • Help
  •  My account 
    • Logout
    • Change account settings
  • Login
EconBiz - Find Economic Literature
Publications Events
Search options
Advanced Search history
My EconBiz
Favorites Loans Reservations Fines
    You are here:
  • Home
  • Search: subject:"robust pricing and hedging"
Narrow search

Narrow search

Year of publication
Subject
All
Robust pricing and hedging 4 Hedging 3 Option pricing theory 3 Optionspreistheorie 3 Martingal 2 Martingale 2 Martingale optimal transport 2 Model-independent arbitrage 2 Pricing-hedging duality 2 Robust statistics 2 Robustes Verfahren 2 Arbitrage 1 Arbitrage Pricing 1 Arbitrage pricing 1 Bubbles 1 Double no-touch option 1 Dual optimization problem 1 Duales Optimierungsproblem 1 Dynamic programming 1 Dynamic programming principle 1 Dynamische Optimierung 1 Financial bubble 1 Financial market 1 Finanzmarkt 1 Local martingale models 1 Mathematical programming 1 Mathematische Optimierung 1 Optimal control 1 Path space restrictions 1 Pathwise modelling 1 Short selling constraint 1 Skorokhod embedding problem 1 Spekulationsblase 1 Stochastic process 1 Stochastischer Prozess 1 Superhedging 1 Trading restrictions 1 Weak arbitrage 1 Weak free lunch with vanishing risk 1 lookback option 1
more ... less ...
Online availability
All
Undetermined 3 Free 2
Type of publication
All
Article 4 Book / Working Paper 1
Type of publication (narrower categories)
All
Article in journal 3 Aufsatz in Zeitschrift 3
Language
All
English 3 Undetermined 2
Author
All
Obłój, Jan 4 Hou, Zhaoxu 2 Cox, Alexander 1 Cox, Alexander M. G. 1 Henry-Labordere, Pierre 1 Obloj, Jan 1 Spoida, Peter 1 Touzi, Nizar 1 Wiesel, Johannes 1
more ... less ...
Institution
All
HAL 1
Published in...
All
Finance and stochastics 3 Finance and Stochastics 1 Working Papers / HAL 1
Source
All
ECONIS (ZBW) 3 RePEc 2
Showing 1 - 5 of 5
Cover Image
A unified framework for robust modelling of financial markets in discrete time
Obłój, Jan; Wiesel, Johannes - In: Finance and stochastics 25 (2021) 3, pp. 427-468
Persistent link: https://www.econbiz.de/10012585981
Saved in:
Cover Image
Maximum Maximum of Martingales given Marginals
Henry-Labordere, Pierre; Obloj, Jan; Spoida, Peter; … - HAL - 2013
We consider the problem of superhedging under volatility uncertainty for an investor allowed to dynamically trade the underlying asset and statically trade European call options for all possible strikes and finitely-many maturities. We present a general duality result which converts this problem...
Persistent link: https://www.econbiz.de/10010899567
Saved in:
Cover Image
Robust pricing-hedging dualities in continuous time
Hou, Zhaoxu; Obłój, Jan - In: Finance and stochastics 22 (2018) 3, pp. 511-567
Persistent link: https://www.econbiz.de/10011945812
Saved in:
Cover Image
Robust pricing and hedging under trading restrictions and the emergence of local martingale models
Cox, Alexander M. G.; Hou, Zhaoxu; Obłój, Jan - In: Finance and stochastics 20 (2016) 3, pp. 669-704
Persistent link: https://www.econbiz.de/10011531314
Saved in:
Cover Image
Robust pricing and hedging of double no-touch options
Cox, Alexander; Obłój, Jan - In: Finance and Stochastics 15 (2011) 3, pp. 573-605
Persistent link: https://www.econbiz.de/10009324936
Saved in:
A service of the
zbw
  • Sitemap
  • Plain language
  • Accessibility
  • Contact us
  • Imprint
  • Privacy

Loading...